Bai and Ng(2002) Test
Posted: Thu Aug 09, 2018 5:40 am
Hi;
To determine the number of factors in FAVAR estimation, one way is to implement Bai & Ng (2002) test. But, is there any way or code to run the test in Eviews or in other software?
I found this code in the internet, but I'm not sure because he emphasizes panel data in the description below:
"This code computes the various panel criteria proposed by Bai and Ng (2002) to determine the number of factors in a multifactor model of large dimension. "
http://www.runmycode.org/companion/view/69
Thanks.
To determine the number of factors in FAVAR estimation, one way is to implement Bai & Ng (2002) test. But, is there any way or code to run the test in Eviews or in other software?
I found this code in the internet, but I'm not sure because he emphasizes panel data in the description below:
"This code computes the various panel criteria proposed by Bai and Ng (2002) to determine the number of factors in a multifactor model of large dimension. "
http://www.runmycode.org/companion/view/69
Thanks.